ruinprob.finite.imps {finiteruinprob}

Approximation of the probability of ruin within a finite time horizon using importance sampling

Description

This function calculates an approximation to the probability of ruin within a finite time horizon for a compound Poisson risk process that is perturbed by a Wiener process. The approximation is based on importance sampling.

Usage

    ruinprob.finite.imps()

Value

This function is not yet fully implemented. At the moment it invisibly returns NULL.

References

Gatto, R. and Baumgartner, B. (2016) Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion. Methodology and Computing in Applied Probability 18(1), pp. 217-235.